A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY

DOI10.1017/S1365100506060299zbMath1144.91014OpenAlexW2162599984MaRDI QIDQ5439973

Simone Alfarano, Thomas C. H. Lux

Publication date: 30 January 2008

Published in: Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1365100506060299

zbMATH Keywords

Markov chainheterogeneous agentslong memorypower lawfinancial market modelherd behaviorvolatility clusteringfat tails

Mathematics Subject Classification ID

Economic time series analysis (91B84) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (10)

Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach ⋮ Staggered updating in an artificial financial market ⋮ Herding behaviour and volatility clustering in financial markets ⋮ The asymptotic behavior of the R/S statistic for fractional Brownian motion ⋮ The effect of round-off error on long memory processes ⋮ Time-varying persistence of inflation: evidence from a wavelet-based approach ⋮ Financial power laws: empirical evidence, models, and mechanisms ⋮ Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching ⋮ LEARNING DYNAMICS AND NONLINEAR MISSPECIFICATION IN AN ARTIFICIAL FINANCIAL MARKET ⋮ The impacts of interest rates on banks' loan portfolio risk-taking

Cites Work

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• A simple nonlinear time series model with misleading linear properties
• A simple linear time series model with misleading nonlinear properties
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• Volatility cluster and herding
• Agent-based computational finance: Suggested readings and early research
• Statistical properties of genetic learning in a model of exchange rate
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Long memory and regime switching

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